Is there any closed form of the Laplace transform of an integrated geometric Brownian motion ? X=(X_t)_(t >= 0)

inurbandojoa

inurbandojoa

Answered question

2022-11-06

Is there any closed form of the Laplace transform of an integrated geometric Brownian motion ?
A geometric Brownian motion X = ( X t ) t 0 satisifies d X t = σ X t d W t where W = ( W t ) t 0 denotes a Brownian motion and the associated integrated Brownian motion is 0 t X s d s. The Laplace transform of an integrated gometric Brownian motion is thus
L ( λ ) = E [ e λ 0 t X s d s ]

Answer & Explanation

boursecasa2je

boursecasa2je

Beginner2022-11-07Added 15 answers

I would be very surprised (in a good way) if there was a closed form solution of this. Even though it is straight-forward to calculate
E [ 0 t X ( s ) d s ]
the distribution of
0 t X ( s ) d s
is unknown. And without knowing the distribution, I believe it will be difficult to calculate the expectation. The only thing I can figure out is a lower bound
E [ e λ 0 t X ( s ) d s ] e 2 λ σ 2 ( e σ 2 t 2 1 )
which is of little use.

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